Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0348 |
| Annualized Std Dev | 0.1847 |
| Annualized Sharpe (Rf=0%) | -0.1882 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4086.0000 |
| NAs | 1.0000 |
| Minimum | -0.1873 |
| Quartile 1 | -0.0038 |
| Median | 0.0000 |
| Arithmetic Mean | -0.0001 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0041 |
| Maximum | 0.1792 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0116 |
| Skewness | -1.0530 |
| Kurtosis | 47.1871 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0087 |
| Gain Deviation | 0.0089 |
| Loss Deviation | 0.0108 |
| Downside Deviation (MAR=210%) | 0.0133 |
| Downside Deviation (Rf=0%) | 0.0087 |
| Downside Deviation (0%) | 0.0087 |
| Maximum Drawdown | 0.7053 |
| Historical VaR (95%) | -0.0136 |
| Historical ES (95%) | -0.0284 |
| Modified VaR (95%) | -0.0114 |
| Modified ES (95%) | -0.0114 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-05-30 | 2008-12-15 | NA | -0.7053 | 3478 | 392 | NA |
| 2005-01-05 | 2005-12-22 | 2007-05-07 | -0.1603 | 587 | 245 | 342 |
| 2007-05-11 | 2007-05-11 | 2007-05-24 | -0.0064 | 10 | 1 | 9 |
| 2004-12-29 | 2004-12-29 | 2005-01-03 | -0.0005 | 4 | 1 | 3 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2004 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0 | NA |
| 2005 | 0 | -0.2 | 1.6 | 0.6 | 0.1 | -0.2 | 0.6 | 0.4 | 0.7 | -0.4 | 0.2 | -0.2 | 3.1 |
| 2006 | 0.3 | 0.7 | 0.6 | 0.5 | 1 | 0.3 | 0.2 | 0.8 | 0.4 | 0.5 | 0.9 | 0.5 | 7.1 |
| 2007 | 0.5 | -0.3 | 0.1 | 0.1 | 0 | -0.2 | 0 | 0.9 | 0.6 | 0.3 | 1 | 1.2 | 4.2 |
| 2008 | -0.1 | -0.9 | 1.9 | 1.5 | -0.1 | -0.7 | 1.1 | -0.2 | 3.9 | 1.8 | -10.9 | -1.7 | -4.8 |
| 2009 | -1 | -2 | 3.6 | 3.6 | 2.9 | 0.1 | 0.7 | -2.5 | -0.5 | -0.4 | 0.9 | -1.3 | 3.8 |
| 2010 | 1.7 | 0.6 | 1 | -0.9 | 0.2 | -0.9 | 1.6 | 0.8 | 1.6 | 1.4 | 0.3 | 0.5 | 8 |
| 2011 | 0.7 | -0.3 | 0.7 | -0.9 | 0.1 | -0.1 | 3.5 | 1 | 0.7 | -1.2 | 1.4 | 0 | 5.7 |
| 2012 | -0.4 | -0.5 | 1.2 | 0 | -0.9 | 0.2 | 0.5 | 0.4 | 1.2 | 1.3 | -0.6 | 2 | 4.4 |
| 2013 | 0.9 | 0.9 | -0.4 | -0.5 | -2.1 | -0.2 | 0.2 | 0.1 | -0.1 | -1.4 | -0.5 | 0 | -3.1 |
| 2014 | 0.3 | 0.7 | -0.5 | -0.5 | -0.6 | 0 | 0 | -0.5 | 0.3 | 0.2 | 0 | 1.3 | 0.8 |
| 2015 | -0.3 | 0.1 | -0.1 | 0.1 | -0.5 | 0.6 | -0.1 | 0.1 | -0.9 | -0.4 | 0.6 | -0.2 | -1 |
| 2016 | -0.5 | 1 | -0.5 | 0.3 | 0.4 | 1.2 | -0.5 | -0.1 | 0.7 | -0.3 | 0.8 | -0.2 | 2.2 |
| 2017 | 0.3 | -0.6 | 0.2 | 0.2 | -0.1 | 1.7 | 0.1 | 0 | 0.3 | -0.3 | 0.2 | 0.6 | 2.7 |
| 2018 | -0.1 | 0.3 | 0.2 | 0.6 | 0.2 | 0.1 | 0.1 | 0 | 0 | 0.4 | -0.1 | -0.7 | 0.9 |
| 2019 | 0.1 | -0.8 | 0.8 | 0.6 | -2.6 | -0.3 | -0.5 | 0.8 | -0.1 | -0.1 | -1.2 | 1.3 | -2.1 |
| 2020 | -0.7 | -4.4 | -1.7 | -1.4 | 1.3 | 0.8 | 0.3 | 5.5 | 0.1 | -0.1 | 0.2 | -0.9 | -1.3 |
| 2021 | 0.8 | 0.8 | 1.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.7 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2004-12-23 20 SPY 121. 0.0007 -3.00e-4 0.0221 0.0835 0.101 0.0506 -0.154 GLD 44.3 0.0057 0.0135
2 2004-12-27 20 SPY 121. -0.0021 9.00e-3 0.0176 0.0882 0.0994 0.0505 -0.149 GLD 44.5 0.0047 0.0066
3 2004-12-28 20.0 SPY 121. 0.0055 1.43e-2 0.0239 0.089 0.105 0.0505 -0.157 GLD 44.4 -0.0025 0.0007
4 2004-12-29 20 SPY 121. 0.0015 8.10e-3 0.0301 0.0851 0.0918 0.0457 -0.158 GLD 43.7 -0.016 -0.0127
5 2004-12-30 20 SPY 121. -0.0019 3.70e-3 0.0275 0.0838 0.0895 0.0442 -0.173 GLD 43.8 0.0039 -0.0043
6 2004-12-31 20 SPY 121. -0.0021 8.00e-4 0.0138 0.0635 0.0862 0.0575 -0.174 GLD 43.8 -0.0007 -0.0106
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
